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In a message dated 2/15/00 8:42:17 PM Pacific Standard Time,
prosys@xxxxxxxxxxxxxxxx writes:
<< Delta hedging doesn't work if prices are not continuous.. >>
The real problem is that you need to be Delta neutral to tomorrow's
volatility and you can only adjust your position to yesterday's volatility.
You could wind up a day late and $500 million short.
Chuck
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